Wüthrich, Kaspar (July 2015). Semiparametric estimation of quantile treatment effects with endogeneity (Discussion Papers 15-09). Bern: Department of Economics
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This paper studies estimation of conditional and unconditional quantile treatment effects
based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and
Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based
on closed form solutions derived from the IVQR moment conditions. These estimators do
not rely on separability of the structural quantile function, while retaining computational
tractability and root-n-consistency. Functional central limit theorems and bootstrap validity results for the estimators of the quantile treatment effects and other functionals are
provided. I apply my method to reanalyze the effect of 401(k) plans on individual savings
behavior.
Item Type: |
Working Paper |
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Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Wüthrich, Kaspar |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
Series: |
Discussion Papers |
Publisher: |
Department of Economics |
Language: |
English |
Submitter: |
Lars Tschannen |
Date Deposited: |
28 Dec 2020 13:07 |
Last Modified: |
05 Dec 2022 15:40 |
JEL Classification: |
C14, C21, C26 |
BORIS DOI: |
10.48350/145818 |
URI: |
https://boris.unibe.ch/id/eprint/145818 |
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